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Assuming a 2 asset class portfolio of equities and bonds, derive the expression for portfolio risk when correlations between equities and bonds are: 1, 0
- Assuming a 2 asset class portfolio of equities and bonds, derive the expression for portfolio risk when correlations between equities and bonds are: 1, 0 and -1. Comment on these expressions.
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Management Science The Art Of Modeling With Spreadsheets
Authors: Stephen G. Powell, Kenneth R. Baker
3rd Edition
0470530677, 978-0470530672
